Suppose APT holds and there are two independent risk factors, F1 and F2. The risk-free rate is 2%. The following table provides the information on two well-diversified portfolios: Portfolio X Y Beta on Fi 1 0.2 Beta on F2 0.5 2 Expected Return 12% 23% a) Compute the risk premium for the two risk factors and write down the expected return-beta relationship. b) Your investment advisor claims that he finds an attractive portfolio A, which is well- diversified with a beta of 0.5 on F1 and 1.2 on F2, and has an expected return of 15%. Is portfolio A really underpriced? c) Is there an arbitrage opportunity? If so, what would be the arbitrage strategy and what is the arbitrage profit?